EURDepo, USDDepo, CHFDepo curve calculation methodology highlights
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EURDepo, USDDepo and CHFDepo curves are constructed by sals.a. Curves are derived from market-leading real-time composite deposit rates (short and middle end maturities) and fixed-floating xIBOR interest rate swaps (long end maturities). EURDepo, USDDepo and CHFDepo curve does not use futures as an input.
- Deposit rates include ON, TN, SW, 1M, 2M, 3M, 6M, 9M and 1Y tenors, used to provide fine granularity of discount factors and rates up to the front futures contract (where available).
- Fixed-floating xIBOR swap rates from 2 years to 30 years where available, with cubic spline interpolation of intermediate cash flow dates.
Curves are calculated using standard bootstrapping in conjunction with linear interpolation.
An illustrative example of EUR curve derivation components are shown at the table. USD and CHF curve components have the same logic.
| Start date | Maturity date | Market rate | Instrument Type |
| 22.10.2008 | 23.10.2008 | 3.34 | EUR deposit rate |
| 23.10.2008 | 27.10.2008 | 3.75 | EUR deposit rate |
| 24.10.2008 | 31.10.2008 | 3.71 | EUR deposit rate |
| 24.10.2008 | 24.11.2008 | 4.62 | EUR deposit rate |
| 24.10.2008 | 24.12.2008 | 4.75 | EUR deposit rate |
| 24.10.2008 | 26.01.2009 | 4.93 | EUR deposit rate |
| 24.10.2008 | 24.04.2009 | 5.01 | EUR deposit rate |
| 24.10.2008 | 24.07.2009 | 5.11 | EUR deposit rate |
| 24.10.2008 | 26.10.2009 | 5.09 | EUR deposit rate |
| 24.10.2008 | 25.10.2010 | 3.932 | Fixed-floating EURIBOR swap rate |
| 24.10.2008 | 24.10.2011 | 4.072 | Fixed-floating EURIBOR swap rate |
| 24.10.2008 | 24.10.2012 | 4.14 | Fixed-floating EURIBOR swap rate |
| 24.10.2008 | 24.10.2013 | 4.1955 | Fixed-floating EURIBOR swap rate |
| ... | ... | ... | ... |